def re_check(sess, num=15):
start = 0
try:
db = mysql.connect(**config.config_db)
cursor = db.cursor()
cursor.execute(select_query)
records = cursor.fetchall()
for alpha_id in records:
if start == num:
break
result, selfcorr, prodcorr = utils.check_submission(
alpha_id[0], sess)
if result == True and selfcorr > 0:
print("RESULT: Pass : "******" : " +
str(prodcorr))
cursor.execute(
update_query.format(selfcorr, prodcorr, alpha_id[0]))
db.commit()
start = start + 1
print("Number of qualified alpha: {}/{}".format(start, num))
elif result == False:
print("RESULT: Fail : " + str(selfcorr) + " : " +
str(prodcorr))
cursor.execute(update_combo_query.format(alpha_id[0]))
db.commit()
utils.change_name(alpha_id[0], sess, name='FAILED')
else:
print("Timed-out or Exception")
db.close()
except Exception as ex:
trace_msg = traceback.format_exception(etype=type(ex),
value=ex,
tb=ex.__traceback__)
utils.db_insert_log("re_check", str(trace_msg), "")
def signal_simulate(thread_num):
while True:
try:
#alpha_codes = signal_generator.get_alphas(data)
#alpha_ids = simulator.multi_simulate(sess, alpha_codes, top, region, thread_num)
# alpha_ids = simulator.simulate_alpha(sess, alpha_codes[0], top, region, thread_num)
# if alpha_ids != None:
# print("ALPHA_IDS :" + str(alpha_ids))
# for alpha_id in alpha_ids:
# results = utils.get_alpha_info(alpha_id, sess)
# if results["weight_test"] == 'FAIL':
# print("Thread {}: Alpha {}: Not enough performance".format(thread_num, alpha_id))
# break
# elif results["sharpe"] >= config.min_signal[0] and results["fitness"] >= config.min_signal[1]:
# selfcorr = float(utils.check_selfcorr(alpha_id, sess))
# if selfcorr <= config.min_signal[2]:
# prodcorr = float(utils.check_prodcorr(alpha_id, sess))
# if prodcorr <= config.min_signal[2]:
# results["self_corr"]=selfcorr
# results["prod_corr"]=prodcorr
# results["theme"] = theme
# utils.db_insert_signals(results)
# utils.change_name(alpha_id, sess, "signal")
# else:
# print("Thread {}: Alpha {}: Not enough performance".format(thread_num, alpha_id))
alpha_code = signal_generator.get_alphas(data)
alpha_id = simulator.simulate_alpha(sess, alpha_code, top, region,
thread_num)
if alpha_id != None:
results = utils.get_alpha_info(alpha_id, sess)
if results["weight_test"] == 'FAIL':
print("Thread {}: Alpha {}: Not enough performance".format(
thread_num, alpha_id))
elif results["sharpe"] >= config.min_signal[0] and results[
"fitness"] >= config.min_signal[1]:
selfcorr = float(utils.check_selfcorr(alpha_id, sess))
if selfcorr <= config.min_signal[2]:
prodcorr = float(utils.check_prodcorr(alpha_id, sess))
if prodcorr <= config.min_signal[2]:
results["self_corr"] = selfcorr
results["prod_corr"] = prodcorr
results["theme"] = theme
utils.db_insert_signals(results)
utils.change_name(alpha_id, sess, "signal")
else:
print("Thread {}: Alpha {}: Not enough performance".format(
thread_num, alpha_id))
except Exception as ex:
trace_msg = traceback.format_exception(etype=type(ex),
value=ex,
tb=ex.__traceback__)
if 'alpha_ids' in locals() or 'alpha_ids' in globals():
#utils.db_insert_log("signal_simulate", str(trace_msg), str(alpha_ids)+" - "+ str(type(alpha_ids)) + str(datetime.now()))
utils.db_insert_log(
"signal_simulate", str(trace_msg),
str(alpha_id) + " - " + str(type(alpha_id)) +
str(datetime.now()))
else:
utils.db_insert_log("signal_simulate", str(trace_msg), "")
def get_submitted_alpha(sess):
offset = 0
while True:
collect_url = 'https://api.worldquantvrc.com/users/self/alphas?limit=100&offset={}&stage=OS%1fPROD&order=-dateSubmitted&hidden=false'.format(offset*100)
response = sess.get(collect_url)
res_json = json.loads(response.content)
results = res_json["results"]
if len(results) != 0:
for result in results:
alpha_id = result["id"]
print("TRANSFER Alpha ID: {}".format(alpha_id))
alpha_info = utils.get_alpha_info(alpha_id, sess)
utils.db_insert_submitted(alpha_info)
utils.change_name(alpha_id, sess, name = 'submitted')
offset = offset + 1
else:
print("FINISHED!")
break
def combo_simulate(thread_num):
while True:
try:
list_signal = combo_generator.get_set_signals(top, region)
combo_alpha, list_alpha_ids = combo_generator.generate_combo(
list_signal, num_signals, top, region)
alpha_id = simulator.simulate_alpha(sess,
combo_alpha["alpha_code"], top,
region, thread_num)
utils.change_name(alpha_id, sess, name="potential")
if alpha_id != None:
alpha_info = utils.get_alpha_info(alpha_id, sess)
if alpha_info["sharpe"] >= config.min_combo[0] and alpha_info[
"fitness"] >= config.min_combo[1]:
result, selfcorr, prodcorr = utils.check_submission(
alpha_id, sess)
#print(result)
if result == True and max(selfcorr,
prodcorr) <= config.min_combo[2]:
alpha_info["self_corr"] = selfcorr
alpha_info["prod_corr"] = prodcorr
alpha_info["theme"] = utils.set_theme(
alpha_info["alpha_code"], alpha_info["region"],
data_theme)
utils.change_name(alpha_id, sess, "can_submit")
utils.db_insert_combo(alpha_info)
for signal_id in list_alpha_ids:
combo_generator.update_count_used(signal_id)
else:
print("Thread {}: Alpha {}: Not enough performance".format(
thread_num, alpha_id))
else:
print("Time-out")
except Exception as ex:
trace_msg = traceback.format_exception(etype=type(ex),
value=ex,
tb=ex.__traceback__)
utils.db_insert_log("combo_simulate", str(trace_msg),
str(combo_alpha["alpha_code"]))
db = mysql.connect(**config.config_db)
cursor = db.cursor()
cursor.execute(select_query)
records = cursor.fetchall()
for alpha_id in records:
result, selfcorr, prodcorr = utils.check_submission(alpha_id[0], sess)
if result == True:
print("Pass : "******" : " + str(prodcorr))
cursor.execute(
stuff.update_query.format(selfcorr, prodcorr, alpha_id[0]))
db.commit()
elif result == False:
print("Fail : " + str(selfcorr) + " : " + str(prodcorr))
cursor.execute(stuff.delete_query.format(alpha_id[0]))
db.commit()
utils.change_name(alpha_id[0], sess, name='FAILED')
db.close()
elif mode == "3":
# Sua lai check selfcorr truoc (query rieng) >> Check prodcorr.
select_query = 'SELECT alpha_id, self_corr, prod_corr FROM signals WHERE self_corr < 0 OR prod_corr < 0'
update_query = 'UPDATE signals SET self_corr = {}, prod_corr = {} WHERE alpha_id = \'{}\''
delete_query = 'DELETE FROM signals WHERE alpha_id = \'{}\''
db = mysql.connect(**config.config_db)
cursor = db.cursor()
cursor.execute(select_query)
records = cursor.fetchall()
for alpha_id in records:
if alpha_id[1] < 0:
selfcorr = utils.check_selfcorr(alpha_id[0], sess)
if selfcorr <= config.min_signal[2]:
print("Pass: {}".format(selfcorr))
def auto_submit(mode, num_today, sess):
try:
max_num_alpha = 5
num_alpha = num_today
select_query = 'SELECT alpha_id, alpha_code, settings FROM combo WHERE self_corr > 0 AND prod_corr > 0 ORDER BY {} DESC LIMIT {}'
if mode == "1":
while num_alpha < max_num_alpha:
alpha_id = str(input("Alpha ID: "))
result, selfcorr, prodcorr, tried_time = submit_alpha(
alpha_id, sess)
if result == True and tried_time < max_tried_time:
num_alpha = num_alpha + 1
db_move_combo(alpha_id, selfcorr, prodcorr, sess)
utils.change_name(alpha_id, sess, name='submitted')
alpha_info = utils.get_alpha_info(alpha_id, sess)
alpha_code = alpha_info["alpha_code"]
alpha_settings = alpha_info["settings"]
update_actual_use_signals(alpha_id, alpha_code,
alpha_settings)
print("Alpha {} submitted successfully. ({}/5)".format(
alpha_id, num_alpha))
elif result == False and tried_time < max_tried_time:
#db_delete_combo(alpha_id)
db_update_combo(alpha_id)
print("Can not submit alpha {}.".format(alpha_id))
elif result == False and tried_time == max_tried_time:
print("Time-out")
else:
print("There was an exception!!!")
elif mode == "2":
db = mysql.connect(**config.config_db)
cursor = db.cursor()
cursor.execute(select_query.format(config.combo_criteria, 50))
records = cursor.fetchall()
db.close()
for alpha_id in records:
if num_alpha == 5:
break
result, selfcorr, prodcorr, tried_time = submit_alpha(
alpha_id[0], sess)
if result == True and tried_time < max_tried_time:
num_alpha = num_alpha + 1
db_move_combo(alpha_id[0], selfcorr, prodcorr, sess)
utils.change_name(alpha_id[0], sess, name='submitted')
update_actual_use_signals(alpha_id[0], alpha_id[1],
alpha_id[2])
print("Alpha {} submitted successfully. ({}/5)".format(
alpha_id[0], num_alpha))
elif result == False and tried_time < max_tried_time:
db_update_combo(alpha_id[0])
print("Can not submit alpha {}.".format(alpha_id[0]))
elif result == False and tried_time == max_tried_time:
print("Time-out")
else:
print("There was an exception!!!")
elif mode == "3":
print("WARNING: Pause the combo simulation!")
# Recheck 15 alphas >> Submit 1 >> Increase index >> Loop.
# If an alpha get stucks, cannot submit and show "Time-out" forever, the function will be stucked. But I'm too lazy for it, so well :v.
while num_alpha < 5:
stuff.re_check(sess, 10)
db = mysql.connect(**config.config_db)
cursor = db.cursor()
cursor.execute(select_query.format(
config.combo_criteria, 1)) # Choose one alpha to submit
alpha_id = cursor.fetchall()
db.close()
result, selfcorr, prodcorr, tried_time = submit_alpha(
alpha_id[0][0], sess)
if result == True and tried_time < max_tried_time:
num_alpha = num_alpha + 1
db_move_combo(alpha_id[0][0], selfcorr, prodcorr, sess)
utils.change_name(alpha_id[0][0], sess, name='submitted')
update_actual_use_signals(alpha_id[0][0], alpha_id[0][1],
alpha_id[0][2])
print("Alpha {} submitted successfully. ({}/5)".format(
alpha_id[0][0], num_alpha))
elif result == False and tried_time < max_tried_time:
db_update_combo(alpha_id[0][0])
print("Can not submit alpha {}.".format(alpha_id[0][0]))
elif result == False and tried_time == max_tried_time:
print("Time-out")
else:
print("There was an exception!!!")
except Exception as ex:
trace_msg = traceback.format_exception(etype=type(ex),
value=ex,
tb=ex.__traceback__)
utils.db_insert_log("auto_submit", str(trace_msg), "")